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Momentum profits in Australian listed property trusts

Lee, Chyi Lin, Reed, Richard and Robinson, Jon 2008, Momentum profits in Australian listed property trusts, Pacific rim property research journal, vol. 13, no. 3, pp. 322-343.

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Title Momentum profits in Australian listed property trusts
Author(s) Lee, Chyi Lin
Reed, Richard
Robinson, Jon
Journal name Pacific rim property research journal
Volume number 13
Issue number 3
Start page 322
End page 343
Total pages 22
Publisher Pacific Rim Real Estate Society
Place of publication Sydney, N.S.W.
Publication date 2008-09
ISSN 1444-5921
Keyword(s) momentum returns
risk-adjusted returns
normality
downside risk
Australian LPTs
Summary This paper examines the profitability of momentum trading strategies in Australian listed property trusts (LPTs). Monthly value-weighted momentum portfolios are formed using the monthly excess returns of LPTs for the period from 1990 to 2005. Overall the findings confirm that a momentum trading strategy in Australian LPTs is a profitable strategy. More specifically, momentum strategies are profitable after adjusting for variance and downside risk where the momentum returns substantially outperform the benchmark. An analysis using different study periods confirm the findings about momentum. The practical implication from this study is that investors can generate substantial abnormal returns by adopting a momentum trading strategy, particularly with a long strategy (i.e. winner portfolios).
Language eng
Field of Research 120503 Housing Markets, Development, Management
Socio Economic Objective 970112 Expanding Knowledge in Built Environment and Design
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2008, Pacific Rim Real Estate Society
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021985

Document type: Journal Article
Collections: School of Architecture and Built Environment
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